Solving Algebraic Riccati Equations via Proper Orthogonal Decomposition

摘要

In this paper we present a method to solve algebraic Riccati equations by employing a projection method based on Proper Orthogonal Decomposition. The method only requires simulations of linear systems to compute the solution of a Lyapunov equation. The leading singular vectors are then used to construct a projector which is employed to produce a reduced order system. We compare this approach to an extended Krylov subspace method and a standard Gramian based method.